Can modeling the natural gas futures market as a threshold cointegrated system improve hedging and forecasting performance?

International Review of Financial Analysis

Volumn 12, Issue 2, 2003, Pages 117-133

  Root, Thomas H ^a   Lien, Donald ^b  

^a DRAKE UNIVERSITY   (United States)

^b UNIVERSITY OF TEXAS AT SAN ANTONIO   (United States)

Author keywords

Forecasting; Hedging; Natural gas; Threshold

Indexed keywords

EID: 0037903317     PISSN: 10575219     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1057-5219(03)00003-6     Document Type: Article

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